Broad Equity Market Tone:
- Advance/Decline Line: Modestly Higher
- Sector Performance: Mixed
- Volume: Below Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 15.4 -4.5%
- Euro/Yen Carry Return Index 129.10 +.34%
- Emerging Markets Currency Volatility(VXY) 11.81 +.6%
- S&P 500 Implied Correlation 57.42 -.02%
- ISE Sentiment Index 72.0 -16.3%
- Total Put/Call .94 -7.84%
- NYSE Arms .94 -25.81%
Credit Investor Angst:
- North American Investment Grade CDS Index 81.75 -1.03%
- America Energy Sector High-Yield CDS Index 1,456.0 +.21%
- European Financial Sector CDS Index 101.0 -1.59%
- Western Europe Sovereign Debt CDS Index 27.38 -1.08%
- Asia Pacific Sovereign Debt CDS Index 59.30 -2.35%
- Emerging Market CDS Index 307.16 -.71%
- iBoxx Offshore RMB China Corporate High Yield Index 127.09 +.03%
- 2-Year Swap Spread 14.0 +1.25 basis points
- TED Spread 40.25 +.5 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -21.5 +.25 basis point
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 72.10 +.62%
- 3-Month T-Bill Yield .22% -1.0 basis point
- Yield Curve 102.0 +2.0 basis points
- China Import Iron Ore Spot $54.57/Metric Tonne unch.
- Citi US Economic Surprise Index -6.0 +.6 point
- Citi Eurozone Economic Surprise Index -29.50 +1.5 points
- Citi Emerging Markets Economic Surprise Index 6.0 +.5 point
- 10-Year TIPS Spread 1.60% +1.0 basis point
- 17.3% chance of Fed rate hike at June 15 meeting, 28.4% chance at July 27 meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating +109 open in Japan
- China A50 Futures: Indicating +48 open in China
- DAX Futures: Indicating +29 open in Germany
Portfolio:
- Lower: On losses in my biotech/retail sector longs and emerging market shorts
- Disclosed Trades: None
- Market Exposure: 25% Net Long
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